On ruin probability and aggregate claim representations for Pareto claim size distributions
نویسندگان
چکیده
منابع مشابه
On Ruin Probability and Aggregate Claim Representations for Pareto Claim Size Distributions
We generalize an integral representation for the ruin probability in a Crámer-Lundberg risk model with shifted (or also called US-)Pareto claim sizes, obtained by Ramsay [14], to classical Pareto(a) claim size distributions with arbitrary real values a > 1 and derive its asymptotic expansion. Furthermore an integral representation for the tail of compound sums of Pareto-distributed claims is ob...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2009
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2009.08.005